Proposition 2.2.5 ([Theorem 4.6, Proposition 4.11, Bau14]).label Let

\[Lu = \dpn{A, D^2u}{\real^{d \times d}}+ \dpn{b, Du}{\real^d}\]

be a diffusion operator, then:

  1. (1)

    $L$ admits a self-adjoint extension.

  2. (2)

    If $L$ is elliptic with smooth coefficients and there exists $\seq{h_n}\in C_{c}(\real^{d}; [0, 1])$ such that:

    1. (a)

      $h_{n} \upto 1$ pointwise on $\real^{d}$ as $n \to \infty$.

    2. (b)

      $||\dpn{Dh_n, ADh_n}{\real^{d}}||_{L^\infty(\real^d)}\to 0$ as $n \to \infty$.


    then $L$ is essentially self-adjoint.

Proof. (1): Since $A$ is semipositive, $-L$ is a semipositive operator. Therefore $L$ admits a Friedrichs extension by Theorem 2.1.5.

(2): By Lemma 2.1.7, it is sufficient to show that there exists $\lambda > 0$ such that $(\lambda - L^{*})$ is injective.

In fact, $(\lambda - L^{*})$ is injective for all $\lambda > 0$. Fix $\lambda > 0$ and $u \in L^{2}(\real^{d})$ such that $L^{*}u = \lambda u$. In this case, since $\mu$ is equivalent to the Lebesgue measure, $Lu = \lambda u$ as distributions. By the Elliptic Regularity Theorem, $u \in C^{\infty}(\real^{d}) \cap L^{2}(\real^{d})$.

For any $h \in C_{c}^{\infty}(\real^{d}; \real)$,

\begin{align*}\dpn{Df, AD(h^2f)}{L^2(\real^d; \real^d )}&= -\dpn{f, L(h^2f)}{L^2(\real^d)}\\&=- \dpn{Lf, h^2f}{L^2(\real^d)}\\&= -\dpn{L^*f, h^2f}{L^2(\real^d)}\\&= -\lambda \dpn{f^2, h^2}{L^2(\real^d)}\le 0\end{align*}

Since

\begin{align*}\dpn{Df, AD(h^2f)}{L^2(\real^d; \real^d)}&= \dpn{Df, h^2ADf}{L^2(\real^d; \real^d)}\\&+ \dpn{Df, 2fhADh}{L^2(\real^d; \real^d)}\end{align*}

By the Schwarz inequality,

\[\dpn{Df, ADh}{\real^d}\le \sqrt{\dpn{Df, ADf}{\real^d}}\cdot \sqrt{\dpn{Dh, ADh}{\real^d}}\]

so

\begin{align*}\dpn{Df, h^2ADf}{L^2(\real^d; \real^d)}&\le 2\norm{\dpn{Dh, ADh}{\real^d}}_{L^\infty(\real^d)}^{1/2}\\&\times \normn{fh{\dpn{Df, ADf}{\real^d}^{1/2}}}_{L^2(\real^d)}\end{align*}

where

\[\normn{fh{\dpn{Df, ADf}{\real^d}^{1/2}}}_{L^2(\real^d)}\le \norm{f}_{L^2}\dpn{Df, h^2ADf}{L^2(\real^d;\real^d)}^{1/2}\]

Therefore

\[\dpn{Df, h^2ADf}{L^2(\real^d; \real^d)}\le 4\norm{\dpn{Dh, ADh}{\real^d}}_{L^\infty(\real^d)}\cdot \norm{f}_{L^2}^{2}\]

Substituting $\seq{h_n}$ for $h$ and sending $n \to \infty$ yields that $\norm{Df}_{L^2(\real^d; \real^d)}= 0$. Therefore $f = 0$.$\square$